Time Zone Difference and Equity Market Price Efficiency Post-Earnings Announcements

Abstract

This study investigates whether differences in investors' time zones affect stocks' price efficiency post-earnings announcements on the Australian Securities Exchange. We examine how stocks heavily held by investors in a time zone significantly behind the exchange time zone respond to earnings announcements, compared to stocks that are not. This study finds that stocks associated with a later time zone are less price-efficient post announcement. The pricing efficiency difference is pronounced for early announcements and announcements with a positive tone. Our results are robust to alternative price efficiency measures, post announcement time frames, and benchmark periods.